Was that reference an inside joke or an overt wink to the arrival of a powerful Marvel villain?
According to Jac Schaeffer, maybe it’s both.
Though, that hypothesis proved to be false.

‘Agatha All Along’ name-drops comic book demon Mephisto in episode 3.Chuck Zlotnick/Marvel Studios; Marvel
Or could Rio be Mephisto himself in disguise?
“There was a lot of consideration,” she says.
“That’s a great way of articulating it: her shadow.

Aubrey Plaza’s Rio Vidal with Kathryn Hahn’s Agatha Harkness in ‘Agatha All Along’.Chuck Zlotnick/Marvel Studios
Agatha is not a character who’s going to stand in anyone’s shadow.
So this is emphatically Agatha Harkness' show.
However, we are intheWandaVisioncorner of the universe, so Wanda’s legacy has threads in this narrative.
But, yeah, it is about Agatha.